It's wherever you put it. Whenever you save something, you either have to
specify where you want to put it, or pay attention to where it's being saved
by default. For example, if you want to save an attachment (from Windows
Mail) in your Documents folder, you first have to click paper clip icon and
choose Save Attachments. Then you have to use the Browse button to say where
you want to save it (your Documents folder in this case).
It works that way with all saves. Where you save a file is entirely up to
you. But if you don't pay any attention to where you're saving an item,
you're going to be hard pressed to find it later.